The search for potential biomarkers of psychiatric disorders is a central topic in biological psychiatry. This review concerns published studies on potential biomarkers of treatment-resistant depression (TRD). The search for biomarkers of TRD in the bloodstream has focused on cytokines and steroids as well as brain-derived neurotropic factor. Additional approaches to identifying biomarkers of TRD have dealt with cerebrospinal fluid analysis, magnetic resonance imaging, and positron emission tomography. Some studies have also investigated potential genetic and epigenetic factors in TRD. Most studies have, however, used a post hoc experimental design that failed to determine the association between biomarkers and the initial risk of TRD. Particular attention in future studies should be on shifting the experimental paradigm toward procedures that can determine the risk for developing treatment resistance in untreated depressed individuals.